Browsing by Author "Stevenson, M. J"

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Browsing by Author "Stevenson, M. J"

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  • Peat, M.; Stevenson, M. J (Centre for Labour Market Research, 2001)
    Cyclical asymmetry has been recognized as a non-linear phenomenon in recent studies examining unemployment rate time series. The probabilistic structure of such time series is different during economic upswings as compared ...
  • Russel, P. S; Partington, G.; Torbey, V.; Stevenson, M. J (Emerald Group Publishing, 2004)
    In this paper we develop a model for predicting whether shareholders either lose all their investment, or receive some value, on a firm's exit from Chapter 11 bankruptcy proceedings. Using both firm-specific and market-wide ...
  • Stevenson, M. J; Partington, G. (Marcel Dekker Inc, 2003)
    In this paper, we develop models for estimating the time varying probability that there will be a price reversal in the property market. Knowledge of such price reversals may be helpful in forming property trading ...
  • Stevenson, M. J; Lin, S. (Massachusetts Institute of Technology Press, 2001)
    In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the twofundamentally related time series: spot and futures indices. Such ...